A power variance test for nonstationarity in complex-valued signals
File(s)1508.05593v2.pdf (1.18 MB)
Accepted version
Author(s)
Bartlett, Thomas E
Sykulski, Adam M
Olhede, Sofia C
Lilly, Jonathan M
Early, Jeffrey J
Type
Conference Paper
Abstract
We propose a novel algorithm for testing the hypothesis of nonstationarity in complex-valued signals. The implementation uses both the bootstrap and the Fast Fourier Transform such that the algorithm can be efficiently implemented in O(NlogN) time, where N is the length of the observed signal. The test procedure examines the second-order structure and contrasts the observed power variance -- i.e. the variability of the instantaneous variance over time -- with the expected characteristics of stationary signals generated via the bootstrap method. Our algorithmic procedure is capable of learning different types of nonstationarity, such as jumps or strong sinusoidal components. We illustrate the utility of our test and algorithm through application to turbulent flow data from fluid dynamics.
Date Issued
2016-03-03
Date Acceptance
2016-03-01
Citation
2016, pp.911-916
Publisher
IEEE
Start Page
911
End Page
916
Journal / Book Title
2015 IEEE 14TH INTERNATIONAL CONFERENCE ON MACHINE LEARNING AND APPLICATIONS (ICMLA)
Copyright Statement
© 2016 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000380483600161&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Source
14th International Conference on Machine Learning and Applications (ICMLA)
Subjects
Computer Science
Computer Science, Cybernetics
Science & Technology
STATIONARITY
Technology
TIME-SERIES
Publication Status
Published
Start Date
2015-12-09
Finish Date
2015-12-11
Coverage Spatial
Miami, FL
Date Publish Online
2016-03-03